| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3154
|
| DP3154 Business Cycles With Heterogenous Agents |
| Roger Farmer
|
| 发表日期 | 2002
|
| 出版年 | 2002
|
| 语种 | 英语
|
| 摘要 | This Paper proposes an index of core inflation for the euro area which exploits information from a large panel of time series on disaggregated prices, industrial production, labour market indicators, financial and monetary variables. The index is the result of a smoothing operation at both the cross-sectional and time series level. By extracting the common component of national inflation and disregarding the idiosyncratic one, we clean inflation from measurement error, discrepancies in data recording and dynamics originated by national or sectoral idiosyncratic shocks (cross-sectional smoothing). By extracting the component with periodicity longer than one year we clean from high frequency variation and seasonal components which are not relevant for monetary policy (time series smoothing). The indicator is shown to have a number of desirable characteristics and to perform very well as a forecaster of the euro area harmonized consumer price index at one and two years horizon, which is the relevant horizon for the ECB monetary policy. |
| 主题 | International Macroeconomics
|
| 关键词 | Core inflation
Dynamic factor model
Inflation forecast
monetary policy
|
| URL | https://cepr.org/publications/dp3154
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532172
|
推荐引用方式
GB/T 7714 |
Roger Farmer. DP3154 Business Cycles With Heterogenous Agents. 2002.
|
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